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Initiative Blog

Monday, October 08, 2007

Mandelbrot is a genius

1.) Volatility clusters; price movements concentrate and are non-independent
2.) Prices leap, not glide--i.e. are non-continuous
3.) In trading "time" is flexible and non-interval

Yup, I now officially have no faith in modern finance theory.
Posted by Ming at 1:01 PM

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